Well for one, if Spotify ends up being the only way musicians get paid, the pool of new and interesting artists is going to end up way, way smaller. I actively try to help independent artists succeed by giving them money directly, even though it ends up being somewhat inconvenient to me. Even the biggest-name independent musicians talk about how laughably little money they make from Spotify streaming compared to actually selling albums and tracks.
For another, pure streaming means you're locked into the streaming service's player, having internet access, and having a device you can run a client on. Just having the audio files is vastly preferable to me.